# Empirical Analysis for CM

* Estimate_CM_RP_ALL.m computes risk premia estimates for the full cross-section.
* Final output files (CM_J_Model_K.mat) are provided to reproduce the results reported in the main text.

* Sample returns data are available in CM_returns_sample.mat. The full returns dataset is restricted and not publicly shared.
* Constructed factor returns are available in CM_factors.mat